Key Features in this Release:
The delivery probability scenario is now using “Flat” bump opposed to PCA by default
[Curve Analysis] Added ability to plot curve as of custom date
Added ability to customize position filter size
Added ability to send CMS sprd vol strategies to Trade Blotter
Added preference to choose curve used in lower carry & roll matrix
For fx forwards, added support to subtract actual rate from spot rate
Added support for CMS sprd vol, already available in Forward Swap Matrix
Minor Fixes & Enhancements:
Forward Swap MatrixSprd/Bfly: Renamed “Preferences” – “Carry & Roll” to “Carry & Roll Period”
Market View – Curves: Removed 12th RBA from default fitting points from AUD OIS curve
Fed Fund Simulator: Removed “EUR-EONIA” tab
Future CTD: Added “Delete Selected Tabs” function under “Tabs” menu
Market View – IRVOL: JPY Vol has been updated to pick up the OIS vol